Prudential Regulation Authority Rulebook

1.1

This Supervisory Statement (SS) sets out the Prudential Regulation Authority’s (PRA’s) expectations of firms in respect of securitisation in the following chapters:

• ‘General requirements under the Securitisation Part of the PRA Rulebook’ (Chapter 2) – general expectations of firms and processes under the Securitisation Part of the PRA Rulebook. 
• ‘STS ABCP Sponsors’ (Chapter 3) - general expectations of firms seeking to become sponsors of Simple, Transparent and Standardised (STS) Asset Backed Commercial Paper (ABCP) programmes.
• ‘CRR securitisation capital framework’ (Chapter 4) - PRA expectations and approach as regards the securitisation capital framework for CRR firms.

1.2

This statement is relevant to PRA-authorised firms, including CRR firms, non-CRR firms, Solvency II firms and non-Solvency II firms to which the Securitisation Part of the PRA Rulebook applies, unless stated otherwise. Throughout this statement, as regards securitisations to which Chapter 3 of the Securitisation Part of the PRA Rulebook applies, references to the Securitisation Part of the PRA Rulebook or provisions therein shall be read as references to corresponding provisions applied by and read in accordance with Chapter 3 of the Securitisation Part of the PRA Rulebook.